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Wavasseur, Maxime. "Asset Pricing and Trading Volume." Thesis, Toulouse 1, 2018. http://www.theses.fr/2018TOU10069/document.
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Ce mémoire de thèse est organisé en trois articles. Le premier est dédié au cas des moulins de Toulouse dont les données nous permettent de tester certains points de la théorie de l’évaluation des actifs. Plus précisément, nous proposons une mesure de la consommation locale et réalisons une analyse basée sur l’entropie relative pour extraire le facteur stochastique d’actualisation de cette économie. Nous observons que ce dernier est lié à la consommation et qu’un modèle simple à la Lucas n’est pas rejeté pour des niveaux d’aversion pour le risque bas. Dans le second article, nous décrivons de manière purement théorique la relation entre le volume d’échange et la composition du marché par le biais d’un modèle où les préférences d’un agent dépendent de son environnement et où un choc de liquidité peut survenir de manière collective pour tous les membres d’un même groupe. Nous introduisons alors le concept de canal désirable comme condition nécessaire à la réalisation d’un échange et lions la topologie du réseau au volume espéré des échanges. Le troisième article porte sur le rôle des statuts sociaux dans la dynamique de marché. Nous proposons un modèle où deux types de biens sont disponibles, un bien positionnel et un bien non positionnel. En distinguant dans l’économie ceux possédant un statut et ceux qui n’en possèdent pas nous justifions comment les échanges prennent place au cours du temps par rapport à cette distinction sociale. Les prédictions du modèle sont alors testées sur les données historiques des moulins de ToulouseThis doctoral thesis is organized in three articles. In the first one, we use the Toulouse mills companies data as a suitable testbed for asset pricing theory. More precisely, we provide a proxy for local consumption and perform a relative entropy analysis to extract the stochastic discount factor of this old economy. We found that the model-free pricing kernel correlates with consumption and a standard CRRA-model is not rejected by the data, even for very low risk aversion levels. In the second article, we describe the relationship between trading volume and market composition through a pure theoretical approach. We build a model where the agent preferences depend on his environment and a liquidity shock is collectively experienced by the members of each social group in the economy. We introduce the concept of desirability channel as a necessary condition for a trade to occur and we rely the topology of the network to the expected volume. The third article focus on the role of social status concern in the exchanges dynamic. We propose a setting where two types of goods are available, a positional and a non positional one. By splitting the economy into two social groups, we depict how trades take place over time regarding to these social groups. The model predictions are finally tested on the historical support of the Toulouse mills companies
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Hong, Harrison G. (Harrison Gregory). "Dyanmic models of asset returns and trading." Thesis, Massachusetts Institute of Technology, 1997. http://hdl.handle.net/1721.1/10315.
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Raffestin, Louis. "Trading strategies and endogenous asset price movement." Thesis, Bordeaux, 2015. http://www.theses.fr/2015BORD0292/document.
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Nous étudions des stratégies d'investissement dont l'utilisation s'est généralisée sur les marchés financiers, et leur impact sur le prix des actifs et le risque de marché.Dans le premier chapitre nous nous intéressons aux stratégies de diversification de portefeuille. Nous montronsau travers d'un modèle théorique que si la diversification a un effet positif au niveau individuel pour l'investisseur,elle crée également des liens entre les différents investisseurs et titres, qui peuvent se révéler dangereux d'un pointde vue systémique. Nous mesurons les deux effets afin de discuter de la désirabilité globale de la diversification.Le second chapitre considère les stratégies d'investissement basées sur le groupement de titres financierspartageant certaines caractéristiques en différentes classes, ou styles. Nous postulons que ces stratégies créentun co-mouvement excessif entre titres d'un même style, qui seront vendus et achetés ensemble au sein d'une mêmeclasse. Appliquant cette intuition aux notes des agences sur les obligations, nous montrons qu'une obligation quichange de note se met en effet à varier comme sa nouvelle note, même quand les fondamentaux économiques ne lejustifient pas.Dans le troisième chapitre nous étudions trois types d'investisseurs opérant sur le marché des changes : les carry traders, les chartistes et les fondamentalistes. Notre modèle théorique suggère que l'interaction entre cestrois règles d'investissement peut expliquer la déconnexion bien documentée entre le taux de change et sa valeurfondamentale, ainsi que provoquer un effondrement endogène des taux de changeWe study how popular investment rules in financial markets may induce endogenous movements inasset prices, leading to higher market risk.In the first chapter, we focus on portfolio diversification. We show through a theoretical model that this strategyis beneficial at the individual investor level, but also creates endogenous links between assets and investors, whichcan be dangerous from a systemic perspective. We measure both effects in order to discuss the overall desirabilityof diversification.The second chapter considers strategies based on grouping assets that share common characteristics intodifferent classes, or styles. We postulate that these strategies create excess comovement between assets of asimilar style, as they are traded together as part of the same class. Applying this reasoning to bond credit ratings,we show that bonds joining a new rating class indeed start comoving more with the bonds of this rating, evenwhen fundamental factors suggest otherwise.In the third chapter, we study three investors who operate in the foreign exchange market: carry traders,chartists and fundamentalists. We provide a theoretical model which suggests that the interaction between thesetrading rules may explain the well documented exchange rate disconnect from its fundamental value, and lead toendogenous currency crashes
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Nikolic, Marko. "Single asset trading: a recurrent reinforcement learning approach." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-47505.
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Asset trading using machine learning has become popular within the financial industry in the recent years. This can for instance be seen in the large number of daily trading volume which are defined by an automatic algorithm. This thesis presents a recurrent reinforcement learning model to trade an asset. The benefits, drawdowns and the derivations of the model are presented. Different parameters of the model are calibrated and tuned considering a traditional division between training and testing data set and also with the help of nested cross validation. The results of the single asset trading model are compared to the benchmark strategy, which consists of buying the underlying asset and hold it for a long period of time regardless of the asset volatility. The proposed model outperforms the buy and hold strategy on three out of four stocks selected for the experiment. Additionally, returns of the model are sensitive to changes in epoch, m, learning rate and training/test ratio.
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Bakstein, David. "A nonlinear parametric model of liquidity in finance." Thesis, University of Oxford, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.249303.
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Peterson, David J. "Essays on strategic trading, asymmetric information, and asset pricing." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1999. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape7/PQDD_0023/NQ38958.pdf.
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Hou, Wenxuan. "Modelling the effects of trading constraints on asset pricing." Thesis, University of Manchester, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.498789.
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This thesis systemically investigates the effects of trading constraints, which serve as an exogenous source of extreme illiquidity, on asset prices by investigating the restricted shares in the China Stock Market, the largest population of restricted shares 11 the world. This thesis documents the illiquidity discounts of 77% on average of restricted shares relative to their freely-traded counterparts with identical voting rights and identical dividends in same listed firms from 1994 to 2004. In 2005, the Chinese government launched a so-called Split Share Structure Reform to terminate all trading constraints.
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Miao, Jia. "Volatility filters for active asset trading and portfolio optimisation." Thesis, Liverpool John Moores University, 2006. http://researchonline.ljmu.ac.uk/5793/.
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Clark, Stephen Rhett. "Essays in insider trading, informational efficiency, and asset pricing." Diss., University of Iowa, 2014. https://ir.uiowa.edu/etd/1306.
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In this dissertation, I consider a range of topics related to the role played by information in modern asset pricing theory. The primary research focus is twofold. First, I synthesize existing research in insider trading and seek to stimulate an expansion of the literature at the intersection of work in the insider trading and financial economics areas. Second, I present the case for using Peter Bossaerts's (2004) Efficiently Learning Markets (ELM) methodology to empirically test asset pricing models.
The first chapter traces the development of domestic and international insider trading regulations and explores the legal issues surrounding the proprietary nature of information in financial markets. I argue that, practically, the reinvigoration of the insider trading debate is unfortunate because, in spite of seemingly unending efforts to settle the debate, we are no closer to answering whether insider trading is even harmful, much less worthy of legal action. In doing so, I challenge the conventional wisdom of framing insider trading research as a quest for resolution to the debate. By adopting an agnostic perspective on the desirability of insider trading regulations, I am able to clearly identify nine issues in this area that are fruitful topics for future research.
The second chapter studies prices and returns for movie-specific Arrow-Debreu securities traded on the Iowa Electronic Markets. The payoffs to these securities are based on the movies' initial 4-week U.S. box office receipts. We employ a unique data set for which we have traders' pre-opening forecasts to provide the first direct test of Bossaerts's (2004) ELM hypothesis. We supplement the forecasts with estimated convergence rates to examine whether the prior forecast errors affect market price convergence. Our results support the ELM hypothesis. While significant deviations between initial forecasts and actual box-office outcomes exist, prices nonetheless evolve in accordance with efficient updating. Further, convergence rates appear independent of both the average initial forecast error and the level of disagreement in forecasts.
Lastly, the third chapter revisits the theoretical justifications for Bossaerts's (2004) ELM, with the goal of providing clear, intuitive proofs of the key results underlying the methodology. The seemingly biggest hurdle to garnering more widespread adoption of the ELM methodology is the confusion that surrounds the use of weighted modified returns when testing for rational asset pricing restrictions. I attack this hurdle by offering a transparent justification for this approach. I then establish how and why Bossaerts's results extend from the case of digital options to the more practically relevant class of all limited-liability securities, including equities. I conclude by showing that the ELM restrictions naturally lend themselves to estimation and testing of asset pricing models, using weighted modified returns, in a Generalized Method of Moments (GMM) framework.
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Rambaccussing, Dooruj. "Essays on trading strategies and long memory." Thesis, University of Exeter, 2012. http://hdl.handle.net/10036/3686.
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Present value based asset pricing models are explored empirically in this thesis. Three contributions are made. First, it is shown that a market timing strategy may be implemented in an excessively volatile market such as the S&P500. The main premise of the strategy is that asset prices may revert to the present value over time. The present value is computed in real-time where the present value variables (future dividends, dividend growth and the discount factor) are forecast from simple models. The strategy works well for monthly data and when dividends are forecast from autoregressive models. The performance of the strategy relies on how discount rates are empirically defined. When discount rates are defined by the rolling and recursive historic average of realized returns, the strategy performs well. The discount rate and dividend growth can also be derived using a structural approach. Using the Campbell and Shiller log-linearized present value equation, and assuming that expected and realized dividend growth are unit related, a state space model is constructed linking the price-dividend ratio to expected returns and expected dividend growth. The model parameters are estimated from the data and, are used to derive the filtered expected returns and expected dividend growth series. The present value is computed using the filtered series. The trading rule tends to perform worse in this case. Discount rates are again found to be the major determinant of its success. Although the structural approach offers a time series of discount rates which is less volatile, it is on average higher than that of the historical mean model. The filtered expected returns is a potential predictor of realized returns. The predictive performance of expected returns is compared to that of the price-dividend ratio. It is found that expected returns is not superior to the price-dividend ratio in forecasting returns both in-sample and out-of-sample. The predictive regression included both simple Ordinary Least Squares and Vector Autoregressions. The second contribution of this thesis is the modeling of expected returns using autoregressive fractionally integrated processes. According to the work of Granger and Joyeux(1980), aggregated series which are derived from utility maximization problems follow a Beta distribution. In the time series literature, it implies that the series may have a fractional order (I(d)). Autoregressive fractionally models may have better appeal than models which explicitly posit unit roots or no unit roots. Two models are presented. The first model, which incorporates an ARFIMA(p,d,q) within the present value through the state equations, is found to be highly unstable. Small sample size may be a reason for this finding. The second model involves predicting dividend growth from simple OLS models, and sequentially netting expected returns from the present value model. Based on the previous finding that expected returns may be a long memory process, the third contribution of this thesis derives a test of long memory based on the asymptotic properties of the variance of aggregated series in the context of the Geweke Porter-Hudak (1982) semiparametric estimator. The test makes use of the fact that pure long memory process will have the same autocorrelation across observations if the observations are drawn at repeated intervals to make a new series. The test is implemented using the Sieve-AR bootstrap which accommodates long range dependence in stochastic processes. The test is relatively powerful against both linear and nonlinear specifications in large samples.
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Rudolf, von Rohr André. "Trading Rules based on Technical Indicators." St. Gallen, 2006. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/02605715001/$FILE/02605715001.pdf.
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Giouvris, Evangelos Thomas. "Issues in asset pricing, liquidity, information efficiency, asymmetric information and trading systems." Thesis, Durham University, 2006. http://etheses.dur.ac.uk/2940/.
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Market microstructure is a relatively new area in finance which emerged as a result of inconsistency between actual and expected prices due to a variety of frictions (mainly trading frictions and asymmetric information) and the realisation that the trading process through which investors' demand is ultimately translated into orders and volumes is of greater importance in price formation than it was originally thought. Despite increased research in the area of liquidity, asset pricing, asymmetric information and trading systems, all subfields in the area of market microstructure, there are a number of questions that remain unanswered such as the effect of different trading systems on systematic liquidity, informational efficiency or components of the spread. This thesis aims at shedding light on those questions by providing a detailed empirical investigation of the effect of trading systems on systematic liquidity, pricing, informational efficiency, volatility and bid-ask spread decomposition mainly with respect to the UK market (FTSEIOO and FTSE250) and to a less extent with respect to the Greek market. Those two markets are at different levels of development/sophistication and are negatively correlated.The aims of this thesis are outlined in chapter one with chapter two providing a detailed review of the theoretical literature relevant to this study. Chapter three is the first empirical chapter and tests for the presence of a common underlying liquidity factor (systematic liquidity) and its effect on pricing for FTSE100 and FTSE250 stocks under different trading regimes. Results show the presence of commonality for FTSE100 and FTSE250 stocks although commonality is weaker for FTSE250 stocks and its role on pricing is reduced. Chapter four investigates the same issues with respect to the Greek market and we find that commonality appears to be stronger in some periods while it is reduced to zero for other periods. Chapter five focuses on the effect that changes in the trading systems can have on informational efficiency and volatility primarily with respect to FTSE100 and FTSE250. Different methodologies and data are employed for this purpose and produce similar results. We find that order driven markets are more responsive to incoming information when compared to quote driven markets. Volatility has a greater impact on the spread when the market is quote driven. We also examined if automated trading increased informational efficiency with respect to the Greek market. The results obtained indicated that the effect of automation was positive. Finally the last chapter focused on the effect of different trading systems on the components of the spread and their determinants. Our main finding is that the asymmetric component of the spread is higher under a quote driven market. Also stock volatility appears to affect the asymmetric component to a greater extent when the market is quote driven. We believe that the main justification for those findings is affirmative quotation.
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Back, Alexander, and William Keith. "Bayesian Neural Networks for Financial Asset Forecasting." Thesis, KTH, Matematisk statistik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-252562.
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Neural networks are powerful tools for modelling complex non-linear mappings, but they often suffer from overfitting and provide no measures of uncertainty in their predictions. Bayesian techniques are proposed as a remedy to these problems, as these both regularize and provide an inherent measure of uncertainty from their posterior predictive distributions. By quantifying predictive uncertainty, we attempt to improve a systematic trading strategy by scaling positions with uncertainty. Exact Bayesian inference is often impossible, and approximate techniques must be used. For this task, this thesis compares dropout, variational inference and Markov chain Monte Carlo. We find that dropout and variational inference provide powerful regularization techniques, but their predictive uncertainties cannot improve a systematic trading strategy. Markov chain Monte Carlo provides powerful regularization as well as promising estimates of predictive uncertainty that are able to improve a systematic trading strategy. However, Markov chain Monte Carlo suffers from an extreme computational cost in the high-dimensional setting of neural networks.Neurala nätverk är kraftfulla verktyg för att modellera komplexa icke-linjära avbildningar, men de lider ofta av överanpassning och tillhandahåller inga mått på osäkerhet i deras prediktioner. Bayesianska tekniker har föreslagits för att råda bot på dessa problem, eftersom att de både har en regulariserande effekt, samt har ett inneboende mått på osäkerhet genom den prediktiva posteriora fördelningen. Genom att kvantifiera prediktiv osäkerhet försöker vi förbättra en systematisk tradingstrategi genom att skala modellens positioner med den skattade osäkerheten. Exakt Bayesiansk inferens är oftast omöjligt, och approximativa metoder måste användas. För detta ändamål jämför detta examensarbete dropout, variational inference och Markov chain Monte Carlo. Resultaten indikerar att både dropout och variational inference är kraftfulla regulariseringstekniker, men att deras prediktiva osäkerheter inte kan användas för att förbättra en systematisk tradingstrategi. Markov chain Monte Carlo ger en kraftfull regulariserande effekt, samt lovande skattningar av osäkerhet som kan användas för att förbättra en systematisk tradingstrategi. Dock lider Markov chain Monte Carlo av en enorm beräkningsmässig komplexitet i ett så högdimensionellt problem som neurala nätverk.
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Li, Wei-Xuan. "Two Essays on Liquidity Essay I: Information Related Trading on Two Nearly Identical Options Essay II: The Importance of the Liquidity Premium in the Presence of Declining Transactions Cost." ScholarWorks@UNO, 2008. http://scholarworks.uno.edu/td/893.
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In the first essay, I examine the impact of the introduction of exchange traded funds (ETFs) options on the information related trading of index options. Two option pairs, NASDAQ 100 index (NDX) and ETF (QQQ, currently QQQQ ) options, and Standard and Poor's 500 index (SPX) options and S & P Depository Receipts (SPY) options, are studied. I test the hypothesis, based on the theory of Chowdhry and Nanda (1991), and Admati and Pleiderer (1988), that the information component of spreads for index options should decline after ETF options were introduced. The method of George, Kaul and Nimalendran (1991) is used to estimate the adverse selection proportion of log quoted spread and revenue from quoted spread. Primary results show that the adverse selection component of index options declines after the introduction of ETF options, and that the adverse selection component of options on index ETFs is greater than that of options on index, suggesting more informed trading for ETF options. The second essay examines whether the liquidity premium decreases as the costs of transactions decline. Nine liquidity measures are estimated to form liquidity deciles portfolios. I use several benchmark asset pricing models in fixed and rolling 36-month samples to estimate time variation liquidity premia. Surprisingly, the results show that the liquidity premium does not monotonically decline over time, and it increases in the period from 2001 to 2006. This is inconsistent with the implication of liquidity-adjusted capital asset pricing models (L-CAPM). It is likely that the liquidity premium is generated by size and book-to-market factors, rather than the liquidity factor.
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Pritchard, Brendan Padraic Anson. "Digital asset arbitrage." reponame:Repositório Institucional do FGV, 2018. http://hdl.handle.net/10438/24240.
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The study examines the risk and reward potential of arbitrage in the digital asset market. Specifically, it looks at exchange to exchange and statistical arbitrage, or pairs trading, for the cryptocurrencies, Bitcoin (BTC) and Litecoin (LTC). In this instance they are traded on the LTC/BTC pair. The LTC/BTC is examined with pairs trading by performing statistical tests and implementing automated trading strategy to determine potential profit levels. Subsequently, additional trading strategies are examined based on the concepts of the statistical results in this study and other technical analysis indicators. The study outlines the profit potential of exchange to exchange arbitrage but also shows how this type of arbitrage is in fact quite risky and not as simple as the large spreads would suggest. Pairs trading strategies are instead put forward as a method of profiting on the price movement disparities in the digital asset market without running the same risks as exchange to exchange arbitrage. The strategies proposed are based on statistical tests as well as technical analysis indicators that both aim at predicting price trend and direction and try to profit off abnormal price movements and subsequent normalization. It turns out that a range of profit levels can be achieved. All though the strategies proposed are too rudimentary to consider for live trading, they do prove the basic proof of concept that there are ways to profit from pairs trading in the digital asset market. Trading strategies can be formed that provide considerable returns while reducing risk that would otherwise be encountered with long term investment positions and/or exchange to exchange arbitrage in the digital asset market.
O seguinte estudo examina o potencial de risco e recompensa de arbitragem no mercado de ativos digitais. Especificamente, analisa a arbitragem entre bolsas de cryptomoeda e arbitragem estatística, ou pairs trading, para as cryptomoedas, Bitcoin (BTC) e Litecoin (LTC). Neste caso, elas são negociadas no par LTC/BTC. O LTC/BTC é examinado em pares e negociadas por meio da realização de testes estatísticos e implementando a estratégia de negociação automatizada para determinar os níveis potenciais de lucro. Subsequentemente, estratégias adicionais de negociação são examinadas com base nos conceitos dos resultados estatísticos deste estudo e outros indicadores de análise técnica. O estudo delineia o potencial de lucro de arbitragem entre bolsas, mas também mostra como esse tipo de arbitragem é, na verdade, bastante arriscado e não tão simples quanto as grandes margens sugeririam. Estratégias de negociação em pares são apresentadas como um método de lucrar com as disparidades de movimento de preços no mercado de ativos digitais, sem correr os mesmos riscos que a troca por arbitragem de câmbio. As estratégias propostas baseiam-se em testes estatísticos, assim como em indicadores de análise técnica que visam prever a direção e a tendência do preço e tentar lucrar com movimentos ou tempos anormais de preços e normalização subsequente. Ficou comprovado que diferentes de níveis de lucro podem ser alcançados. Embora as estratégias propostas sejam rudimentares demais para serem consideradas para negociação com dinheiro vivo, elas provam o conceito básico de que existem maneiras de lucrar com a negociação de pares no mercado de ativos digitais. Estratégias de negociação podem ser formadas, proporcionando retornos consideráveis e, ao mesmo tempo, reduzindo o risco de que outra forma seja encontrada em posições de investimento de longo prazo e / ou em troca de arbitragem de câmbio no mercado de ativos digitais.
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Calegari, Michael Joseph. "The impact of capital gains taxation on asset prices, realization behavior, and trading volume." Diss., The University of Arizona, 1996. http://hdl.handle.net/10150/290594.
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The lock-in effect discourages investors from switching investments in a portfolio that is no longer optimal. It is possible, however, that the negative impact of the lock-in effect on gain realizations can be offset by the positive impact of capital gains taxes on the demand for risky assets when losses are not subject to special restrictions. While previous studies have examined the impact of the lock-in effect of current capital gains taxes on realization behavior (e.g., Feldstein, Slemrod, and Yitzhaki, 1980; Burman and Randolph, 1994) and the impact of the variance-reduction effect of future capital gains taxes on the demand for risky assets (e.g., Mossin, 1968; Stiglitz, 1969), there is little extant research that analyzes the impact of both current and future capital gains taxes on portfolio composition. This dissertation examines the impact of capital gains taxation on individual investor behavior in a proportional income tax regime. I study this problem using two different approaches. First, I develop a single period general equilibrium model to derive propositions regarding the impact of capital gains taxation on portfolio diversification. Second, I examine the impact of capital gains taxation in a multiperiod experimental asset market similar to the "bubbles" markets described in Smith, Suchanek, and Williams (1988). The experimental results show that realization behavior in markets with constant rate capital gains taxation are not significantly different than that in tax-free markets. Moreover, both analytical and experimental results indicate that capital gains taxation has a significant impact on prices and realization behavior when the tax rate on current capital gains is different than the expected tax rate on future capital gains. These results are consistent with evidence presented in Burman and Randolph (1994) which suggest that the inverse relationship between gain realizations and the capital gains tax rate is driven by temporary differences between current and future tax rates rather than the permanent level of the capital gains tax rate.
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Robertsson, Göran. "International portfolio choice and trading behavior." Doctoral thesis, Handelshögskolan i Stockholm, Finansiell Ekonomi (FI), 2000. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-624.
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This thesis consists of four essays on topics relating to the fields of international portfolio choice, trading behavior, and asset pricing. "Direct Foreign Ownership, Institutional Investors, and Firm Characteristics" analyzes portfolios of Swedish stocks held by foreign investors. The analysis reveals that foreigners tilt their portfolios to firms with certain attributes. It is also shown that the seemingly specific preferences of foreign investors are driven by the fact that they are large institutional investors, and are not linked to their national origin. "Foreigners' Trades in Risky Assets: An assessment of Investment Behavior and Performance" analyzes foreigners' trading activities. It is shown that foreigners trade more than domestic investors. Further, they trade as non-informed trend followers in that they buy stocks that have recently done well. Nonetheless, after the liberalization of Sweden's stock market, foreigners' purchases have led to a permanent price increase and to a reduction in the cost of equity capital. "Exchange Rate Exposure, Risk Premia, and Firm Characteristics" shows that about fifty percent of Swedish listed firms are affected by exchange rate fluctuations. The sign and magnitude of exchange rate exposure are characterized across industries as well as firm attributes. The empirical analysis suggests that exposure can be eliminated through diversification, and that exchange rate risk is not priced. "Conditioning Information in Tactical Asset Allocation" examines whether investors can exploit the predictability in time-varying expected returns on Swedish stocks and bonds. It is shown that dynamic allocation strategies, based on conditioning information, significantly outperform several benchmark portfolios. This superior performance is not only statistically significant, it is economically large.Diss. Stockholm : Handelshögsk.
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Säfvenblad, Patrik. "Price formation in multi-asset securities markets." Doctoral thesis, Handelshögskolan i Stockholm, Finansiell Ekonomi (FI), 1997. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-855.
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This volume is a collection of three essays relating to the pricing of securities in financial markets, such as stock markets, where a large number of individual securities are traded. Lead-Lag Effects in a Competitive REE MarketThis essay introduces a model of cross-security information aggregation. The model is essentially an extension of Chan (Journal of Finance, 1993) to the case of simultaneous auction markets where revealed information is correlated across securities.The model provides clear predictions of lead-lag effects between securities returns. Several of the model's predictions are confirmed empirically using data from the Paris Bourse. Other models of price formation, including the basic Chan model and nonsynchronous trading, are rejected as they cannot account for observed return patterns. Learning the True Index LevelThis essay extends the model of cross-security information aggregation by deriving implications for autocorrelation in index returns. Both time series and cross-sectional predictions are confirmed by empirical evidence from the Paris Bourse. In addition, the time series predictions are consistent with earlier, partly unexplained, empirical evidence from the US market. An Empirical Study of Index Return AutocorrelationThis essay studies return autocorrelation on the Stockholm Stock Exchange focusing on the relation between index returns and indvidual stock returns. It is demonstrated that the two return types have similar time series properties, and it is concluded that the causes of autocorrelation are the same in both cases.Diss. Stockholm : Handelshögskolan, 1997
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Alhomaidi, Asem. "Social norms and stock trading." ScholarWorks@UNO, 2017. http://scholarworks.uno.edu/td/2373.
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The dissertation consists of two essays. In the first essay we compare the performance of Islamic and conventional stock returns in Saudi Arabia in order to determine whether the Saudi market exhibits characteristics that are consistent with segmented markets and investor recognition effects. We sample the daily stock returns of all Saudi firms from September 2002 to 2015 and calculate important measures, including idiosyncratic volatility (Ang et al, 2006), market integration (Pukthuanthong and Roll, 2009), systematic turnover (Loughran and Schultz, 2005), and stock turnover and liquidity (Amihud, 2002). Integration tests report that Islamic stocks are more sensitive to changes in global and local macroeconomic variables than conventional stocks, supporting the hypothesis that the Islamic and conventional stock markets are segmented in Saudi Arabia. In addition, our results show that Islamic stocks have larger number of investors, lower idiosyncratic risk, higher systematic turnover, and more liquid than conventional stocks, which supports the investor recognition hypothesis. Our results provide new evidence on asset pricing in emerging markets, the evolving Islamic financial markets, and the potential impact of other implicit market barriers on global financial markets. In the second essay we examine the effects of shared beliefs and personal preferences of individual investors on their trading and investment decisions. We anticipate that the process of classifying stocks into Shariah compliant (Islamic) and non-shariah compliant (conventional) has an effect on investibility and acceptance of the stock especially by unsophisticated or individual investors. The wide acceptance of Islamic stocks between individual investors promote and facilitate the circulation of firm-specific information between certain groups of investors. Our results indicate that stock classification has an effect on the stock price comovement through increased stock trading correlation between the groups of Islamic investors. The commonality in preferences between Islamic stocks’ holders generate commonality in trading activity and in stock liquidity. We find that classifying a stock as an Islamic stock increases its price comovement with other Islamic stocks and also increases its commonality in liquidity.
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Sim, Min Kyu. "Empirical findings in asset price dynamics revealed by quantitative modelling." Diss., Georgia Institute of Technology, 2014. http://hdl.handle.net/1853/54302.
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This dissertation addresses the fundamental question of what factors drive equity prices and investigates the mechanisms through which the drivers influence the price dynamics. The studies are based on the two different frequency levels of financial data. The first part aims to identify what systematic risk factors affect the expected return of stocks based on historical data with frequency being daily or monthly. The second part aims to explain how the hidden supply-demand of a stock affects the stock price dynamics based on market data observed at frequency levels generally between a millisecond and a second. With more and more financial market data becoming available, it greatly facilitates quantitative approaches for analyzing asset price dynamics and market microstructure problems.
In the first part, we propose an econometric measure, terms as modularity, for characterizing the cluster structure in a universe of stocks. A high level of modularity implies that the cluster structure of the universe of stocks is highly evident, and low modularity implies a blurred cluster structure. The modularity measure is shown to be related to the cycle of the economy. In addition, individual stock's sensitivity to the modularity measure is shown to be related to its expected return. From 1992 to 2011, the average annual return of stocks with the lowest sensitivity exceeds that of the stocks with highest sensitivities by approximately 7.6%. Considerations of modularity as an asset pricing factor expand the investment opportunity set to passive investors.
In the second part, we analyze the effect of hidden demands/supplies in equity trading market on the stock price dynamics. We propose a statistical estimation model for average hidden liquidity based on the limit orderbook data. Not only the estimated hidden liquidity explains the probabilistic property in market microstructure better, it also refines the existing price impact model and achieves higher explanation powers. Our enhanced price impact model offers a base for devising optimal order execution strategies. After we develop an optimal execution strategy based on the price impact function, the advantage of this strategy over benchmark strategies is tested on a simulated stock trading model calibrated by historical data. Simulation tests indicate that our strategy yields significant savings in transaction cost over the benchmark strategies.
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Bertheussen, Andreas. "Equity Risk Premium Estimation Models : A study of the effects of trading liquidity on traditional asset pricing models." Thesis, Norges teknisk-naturvitenskapelige universitet, Institutt for industriell økonomi og teknologiledelse, 2011. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-15837.
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I ask whether added liquidity factors improve the ability of the Sharp-Lintner CAPM and the Fama French three-factor model to explain asset returns, ex-post, in the Norwegian stock market. Through cross-sectional and time-series regression tests, on both the original and the liquidity-augmented versions of the equity risk premium models, I search for a reversed liquidity premium in the period 2006-2011. I find that the liquidity factors, represented by the bid-ask spread and turnover, marginally improve the empirical ability of the models to explain asset prices and conclude that there is empirical support for a multidimensional liquidity premium. The implications of my results contradict flight-to-liquidity theory and suggest that different dimensions of liquidity are rewarded a premium in different stages of the business-cycle - offering liquidity based rationale for the size and value-effect.
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Zhitlukhin, Mikhail Valentinovich. "Stochastic dynamics of financial markets." Thesis, University of Manchester, 2014. https://www.research.manchester.ac.uk/portal/en/theses/stochastic-dynamics-of-financial-markets(4eb80d2a-e90a-4ab0-b9e2-ad930c8a4d94).html.
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This thesis provides a study on stochastic models of financial markets related to problems of asset pricing and hedging, optimal portfolio managing and statistical changepoint detection in trends of asset prices. Chapter 1 develops a general model of a system of interconnected stochastic markets associated with a directed acyclic graph. The main result of the chapter provides sufficient conditions of hedgeability of contracts in the model. These conditions are expressed in terms of consistent price systems, which generalise the notion of equivalent martingale measures. Using the general results obtained, a particular model of an asset market with transaction costs and portfolio constraints is studied. In the second chapter the problem of multi-period utility maximisation in the general market model is considered. The aim of the chapter is to establish the existence of systems of supporting prices, which play the role of Lagrange multipliers and allow to decompose a multi-period constrained utility maximisation problem into a family of single-period and unconstrained problems. Their existence is proved under conditions similar to those of Chapter 1.The last chapter is devoted to applications of statistical sequential methods for detecting trend changes in asset prices. A model where prices are driven by a geometric Gaussian random walk with changing mean and variance is proposed, and the problem of choosing the optimal moment of time to sell an asset is studied. The main theorem of the chapter describes the structure of the optimal selling moments in terms of the Shiryaev–Roberts statistic and the posterior probability process.
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Kroon, Erik, and Tom Karlsson. "Replicating the retailers' trading imbalance anomaly : A quantitative study about excess return opportunities on Swedish Small Cap listed firms." Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-447199.
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Previous research conducted on the US markets has found that retailers' trading imbalances can contribute to excess return opportunities, especially on Small Cap stocks. Therefore, we argue that this can be seen as an anomaly. However, anomalies that are found historically may not tell the whole truth. This is because these anomalies have been established on respective studies' specific markets and time periods. Researchers that have investigated the issue argue that it is essential to further challenge anomalies by replicating them in other settings to see if the evidence still holds. Hence, the purpose of this study is to examine if the retailers' trading imbalance anomaly can be replicated on Swedish Small Cap listed firms. We have examined this by using cross-sectional regressions in the spirit of Fama and MacBeth. This thesis concludes that the retailers’ trading imbalances cannot be replicated when applied to the chosen setting. We argue that the reasons for this are that retailers’ trading imbalances are not persistent, are not compensated when providing liquidity into the markets, and that it does not contain useful information about future stock returns. In addition, we also argue that inherent differences in the US markets compared to the Swedish Small Cap listed firms are affecting our possibility to successfully replicate the anomaly.
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Ivanova, Yuliya Rumenova. "Essays in foreign exchange." Diss., University of Iowa, 2015. https://ir.uiowa.edu/etd/1642.
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This thesis consists of three chapters and focuses on the relationship between foreign exchange rates and other areas of Finance. The first chapter is sole-authored and is titled `Foreign Exchange Rate Exposure and Corporate Policies.' The second chapter is coauthored work with Professor Emeritus Paul Weller, Assistant Vice President Chris Neely and Professor David Rapach and is titled `Can Risk Explain the Profitability of Technical Trading in Currency Markets.' The third chapter is titled `Foreign Exchange Movements and Cross-country Fund Allocation Decisions.'
In the first chapter, I examine the relationship between foreign exchange rate exposure and corporate policies. Despite the fact that empirical tests estimate foreign exchange rate exposure net of corporate hedging, there are still firms that exhibit significant residual exposures. It is believed that when faced with higher foreign exchange rate exposure, companies are more likely to run into an underinvestment problem. Therefore, in the current study I explore whether foreign exchange rate exposure is reflected in corporate policies beyond hedging. I establish that companies with higher foreign exchange rate exposure tend to hold more cash, have a higher likelihood of accessing capital markets and are less likely to issue dividends. Further, the relationship between foreign exchange rate exposure and these corporate policies is more pronounced for firms for which the underinvestment problem is likely to be more severe, namely firms with higher growth opportunities and firms operating in more competitive industries. Additionally, I find that half of the significant foreign exchange rate exposures in my sample come from firms with only domestic sales. Thus, I believe that foreign exchange rate exposure is relevant not only to the decisions of multinational corporations with international involvement and deserves additional investigation.
The second chapter examines the robust finding that technical trading rules applied to foreign exchange markets have earned substantial excess returns over long periods of time. However, the approach to risk adjustment has typically been rather cursory, and has tended to focus on the CAPM. We examine the returns to a set of dynamic trading rules and look at the explanatory power of a wide range of models: CAPM, quadratic CAPM, C-CAPM, Carhart's 4-factor model, an extended C-CAPM with durable consumption, Lustig-Verdelhan (LV) factors, volatility and skewness. Although skewness has some modest explanatory power for the observed excess returns, no model can plausibly account for the very strong evidence in favor of the profitability of technical analysis in the foreign exchange market. We conclude that these findings strengthen the case for considering models incorporating cognitive bias and the processes of learning and adaptation, as exemplified in the Adaptive Markets Hypothesis.
The third chapter is motivated by the fact that success of investment in international equity markets is a function of the stock picking ability of the manager within the particular foreign market as well as the (un)favorable foreign exchange rate movements against the domestic currency. Therefore, the objective of this paper is to study in more detail the relationship between currency returns and the cross country equity flows of U.S. international equity mutual funds. We are interested whether mutual funds are able to take advantage of beneficial currency movements and more importantly whether they destroy value through inappropriate currency positions. We establish that funds are better at managing contemporaneous changes in currency movements rather than at predicting future changes. We find that 80% of the funds increase their portfolio exposure to a particular currency (by increasing the relevant country allocation) when it has positive returns and decrease the exposure to that currency when it has negative returns. Further, the average fund does not create or destroy significant value through its country allocation decisions. Moreover, mutual fund managers do not have an advantage in predicting certain currencies over others. Most importantly however, it has to be noted that international mutual funds are not eroding value through their currency management even in the case of the most active funds.
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Petousis, Thalia. "Nelson Siegel parameterisation of the South African Sovereign Yield Curve: an exploration of its predictors, a link to the main asset classes and implementation of systematic trading strategies." Master's thesis, University of Cape Town, 2014. http://hdl.handle.net/11427/13168.
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Includes bibliographical references.The aims of this research are firstly to model the South African Local Government Bond Yield curve according to the Nelson Siegel Parameterisation framework, as implemented in the pivotal work of Diebold and Li (2006) in forecasting the US Treasury curve.
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Anderson, Anders. "Essays in behavioral finance." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics (Ekonomiska forskningsinstitutet vid Handelshögsk.) (EFI), 2004. http://www.hhs.se/efi/summary/636.htm.
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Santos, Micael Veras dos. "O papel da custódia de títulos financeiros nos mercados financeiros internacionais: mercados auto compensados e não compensados." Master's thesis, Universidade de Évora, 2016. http://hdl.handle.net/10174/19775.
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Este relatório de estágio tem como objetivo descrever e contextualizar aspetos práticos relativos ao funcionamento dos mercados financeiros que não são habitualmente abordados nos manuais sobre este tipo de mercados. O relatório tem por base o estágio profissional realizado no BNP Paribas Securities Services, que proporcionou contacto direto com várias práticas, principalmente no domínio da prestação de serviços de custódia de títulos financeiros. A custódia é um serviço de post-trading, com grande relevância para a gestão e manutenção dos títulos financeiros e abrange todos os procedimentos que decorrem da negociação, de entre os quais se destacam aqueles que dizem respeito à distribuição de rendimentos; The AUD’s (assets under custody) role in the international financial markets: auto compensated markets and non compensated markets
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This report aims to describe and contextualize practical aspects related to the functioning of financial markets that are not usually addressed in handbooks on such markets. The report is based on a professional internship at BNP Paribas Securities Services, which provided direct contact with various practices, particularly in the provision of financial securities custody services. The custody is a post-trading service, with great relevance for the management and maintenance of financial securities and covers all the procedures resulting from the negotiations, of which are especially relevant those relating to the distribution of income earnings.
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Zhang, Jie. "Two essays on empirical asset pricing : 1. Forecasted earnings per share and the cross section of expected returns and 2. The limits to arbitrage and the fundamental value-to-price trading strategies /." View abstract or full-text, 2006. http://library.ust.hk/cgi/db/thesis.pl?FINA%202006%20ZHANG.
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Pénasse, Julien. "Prix des actifs et actifs sans prix." Thesis, Cergy-Pontoise, 2014. http://www.theses.fr/2014CERG0715/document.
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Cette thèse étudie plusieurs aspects de la dynamique du rendement des actifs. Les trois premiers chapitres ont pour objet la formation des prix sur le marché de l'art. Le premier chapitre établit que les prix peuvent s'écarter temporairement, et de manière partiellement prévisible, de la valeur fondamentale. Cet article a été publié dans Economics Letters (Volume 122, Issue 3, pp. 432-434) et a été écrit avec Christophe Spaenjers et Luc Renneboog. Le chapitre 2 étudie la vitesse de transmission de l'information dans les prix agrégés du marché de l'art. Le chapitre 3 analyse la corrélation entre prix et volume et étaye des éléments concordant avec une hypothèse de bulles. Il a été écrit avec Luc Renneboog. Le chapitre 4 s'attache à la modélisation empirique de la prédictibilité d'indices boursiers sur quinze pays industrialisés. Il propose de combiner l'information donnée par chaque pays de façon à améliorer le pouvoir prédictifThe doctoral thesis studies several aspects of asset returns dynamics. The first three chapters focus on returns in the fine art market. The first chapter provides evidence for the existence of a slow-moving fad component in art prices that induces short-term return predictability. The article has been published in Economics Letters (Volume 122, Issue 3, pp. 432-434), and was written together with Christophe Spaenjers and Luc Renneboog. Chapter 2 investigates how fast is information incorporated into aggregate art prices. Chapter 3 studies price-volume dynamics in the art market and documents evidence of bubble patterns in prices and is written with Luc Renneboog. Chapter 4 proposes a Bayesian estimation procedure that makes efficient use of cross-sectional information, and revisits the return predictability literature
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Mazumder, Mohammed Imtiaz Ahmed. "The Predictability of International Mutual Funds." ScholarWorks@UNO, 2004. http://scholarworks.uno.edu/td/175.
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The predictability of the US-based international mutual fund returns has received renewed consideration in recent academic studies. This dissertation extends recent research by exploring the 2,479 daily return observations covering the period from January 4, 1993 to October 31, 2002 for all categories of international mutual funds. This exploration splits the sample, uses the initial sub-sample to investigate return patterns of international mutual funds and develops trading rules based on the predictable return patterns, and tests those rules on the holdout sample. The empirical findings suggest that smart investors may earn higher riskadjusted returns by following daily dynamic trading strategies. The excess returns earned by investors are statistically and economically significant, irrespective of load or no-load mutual funds and even in the presence of various exchange restrictions and regulations.
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Morscheck, Justin David. "Overreaction in trading : evidence from the intraday trading of SPDRs /." abstract and full text PDF (UNR users only), 2008. http://0-gateway.proquest.com.innopac.library.unr.edu/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqdiss&rft_dat=xri:pqdiss:1461538.
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Thesis (M.S.)--University of Nevada, Reno, 2008."December, 2008." Includes bibliographical references (leaves 23-24). Library also has microfilm. Ann Arbor, Mich. : ProQuest Information and Learning Company, [2009]. 1 microfilm reel ; 35 mm. Online version available on the World Wide Web.
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Setterberg, Hanna. "The pricing of earnings : essays on the post-earnings announcement drift and earnings quality risk." Doctoral thesis, Handelshögskolan i Stockholm, Institutionen för Redovisning och finansiering, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-1592.
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This dissertation is concerned with the relationship between accounting earnings and stock prices. It consists of three empirical papers, all using a sample of firms listed on the Stockholm Stock Exchange (1990-2008). The first paper documents the existence of a drift in stock prices subsequent to quarterly earnings announcements. Two interesting empirical observations are that the drift is only significant for longer holding periods and that the drift on the short position, i.e. after bad earnings news, is negligible. The lack of downward drift on the short position is interpreted as an indication of the post-earnings announcement drift, at least partly, being explained by investors demanding a compensation for a risk factor that is omitted in the test design. The second paper illustrates under what conditions information risk in the earnings signal might explain a low announcement reaction and a price drift in the post-announcement period. It is hypothesized that two earnings signals – based either on GAAP earnings or core earnings – have different levels of information uncertainty with respect to how they depict the value creation of the firm. In the empirical sections, it is concluded that the low immediate announcement reaction and high post-announcement drift for the GAAP earnings signal is due to this signal being perceived by investors as containing more uncertainty than the core earnings signal. It is argued that this uncertainty might be due to GAAP earnings encompassing items that prior research has shown more likely to be manipulated and/or to contain estimation error. The positive association between information risk and expected return is further investigated in the third paper, where information risk is measured by earnings quality metrics. Using a new approach to estimate the implied cost of capital, it is found that Swedish investors demand a higher expected return for firms with poor earnings quality, i.e. firms associated with higher information risk.Diss. Stockholm : Handelshögskolan i Stockholm, 2011
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Eriksson, John. "Comparing message-oriented middleware for financial assets trading." Thesis, KTH, Data- och elektroteknik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-188194.
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Many different message-oriented middlewares (MOM) exist today on the market. With different underlying designs, purposes and features, it is not easy to make the right choice of MOM for your system. The IT company Nordicstation is in such a situation where they need to make a choice of MOM. They currently own a system called Sharelock which generates reports about violations of financial assets trad- ing. They wish to make the process of generating a report more asynchronous by using a MOM and they have a couple of requirements. This thesis was carried out with the purpose of finding the most suitable products for the system in mind, compare their features, performance, licenses and ease-of- use. This was accomplished by analysing their installation process, monitoring in- terfaces, documentation on their websites and performance in a simple throughput test. The results showed that RabbitMQ was the strongest candidate. It had good per- formance, an attractive web interface for monitoring, an easy installation and it also offered commercial support. Apache Artemis was also found to be an attractive choice but it did not have a web interface which made it hard to manage the system.Idag finns det många meddelandebaserade mellanprogramvaror (MOM) på marknaden. Dessa har olika grundläggande designer, syften och kännetecken vilket kan göra det svårt att göra ett bra val av MOM för ett visst system. IT-företaget Nordicstation befinner sig i en sådan situation där de behöver göra ett val av MOM. De har ett system som kallas Sharelock som genererar rapporter om regelbrott in- om värdepappershandeln. De vill göra processen mer asynkron genom att använda en MOM och de har ett antal krav på produkten. Det här examensarbetet utfördes med syftet att hitta de mest passande produkter- na för det tänka systemet, jämföra deras särdrag, prestanda, licenser och anvä- ndarvänlighet. Detta gjordes genom att analysera deras installationsprocess, övervakningsgränssnitt, dokumentation på deras hemsida och prestanda i ett en- kelt prestandatest. Resultaten visade att RabbitMQ var den starkaste kandidaten. Den hade bra prestanda, ett attraktivt webbgränssnitt, en enkel installation och den erbjöd också kommersiell support åt kunder. Apache Artemis var också ett attraktivt val men den hade inget webbgränssnitt vilket gjorde det svårt att övervaka och hantera sys- temet.
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Nguenang, Kapnang Christian. "Essays in Financial Econometrics : Interlinked assets and High-Frequency Data." Thesis, Toulouse 1, 2018. http://www.theses.fr/2018TOU10023/document.
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Les changements institutionnels dans la régulation des marchés financiers ont amplifié la multiplication des marchés et la cotation simultanée des actifs sur plusieurs places. Les prix d'un titre sur ces places ou d’un titre et ses dérivés sont liés par des activités d'arbitrage. Dans ces cadres de marchés “informationnellement reliés”, il est intéressant pour le régulateur, les investisseurs et les chercheurs, de comprendre comment chaque marché contribue à la dynamique de la valeur fondamentale. Cette thèse développe de nouveaux outils pour mesurer la contribution, relativement à la fréquence, de chaque marché à la formation du prix et à la formation de la volatilité. Dans le premier chapitre, Je montre que les mesures existantes de la découverte des prix conduisent à des conclusions trompeuses lorsque l'on utilise des données à haute fréquence. En raison de bruits de microstructure, Ils créent une confusion entre la dimension « vitesse » et la dimension « bruit » dans le traitement de l’information. Je propose ensuite des mesures robustes au bruit qui détectent « quel marché est rapide » et produit des bornes très serrées. A l’aide de simulations Monte Carlo et des titres du Dow Jones vendues sur le NYSE et le NASDAQ, je montre que les données corroborent mes conclusions théoriques. Dans le deuxième chapitre, je propose une nouvelle définition de la découverte prix en construisant une fonction de réponse qui évalue l'impact permanent de l'innovation d’un marché, et je donne sa distribution asymptotique. Ce cadre innove en fournissant des résultats testables pour les métriques basées sur la variance d'innovation. Je présente ensuite un modèle d'équilibre des marchés à terme à différentes maturités, et montre qu'il soutient ma mesure : Conformément aux conclusions théoriques, la mesure sélectionne le marché avec le plus de participants comme dominant. Une application sur métaux de la LME montre que le contrat à terme de 3 mois domine à la fois le marché cash et le contrat à 15 mois. Le troisième chapitre introduit un cadre complet en temps continu pour l'analyse à haute fréquence, la littérature n'existant qu’en temps discret. Il présente aussi des avantages sur la littérature en traitant explicitement des bruits de microstructure et en intégrant une volatilité stochastique. Une application, faite sur les quatre actions du Dow Jones cotées au NASDAQ et négociées sur NYSE, montrent que le NASDAQ domine le processus continu de découverte des prix. Dans le quatrième chapitre, Alors que la littérature se concentre sur les prix, je développe un cadre pour étudier la volatilité de la volatilité. Ce qui permet de répondre à des questions telles que : La volatilité du marché futures contribue-t-elle plus que la volatilité du marché spot dans la formation de la volatilité du fondamental ? Je construis un VECM avec Volatilité Stochastique estimé avec les MCMC et inférence bayésienne. Je montre que les volatilités conditionnelles ont un facteur commun et propose des mesures de découverte de la volatilité. Je l'applique aux données journalières de Futures de métaux et de l'EuroStoxx50. Je trouve qu'alors que la formation des prix a lieu sur le marché au comptant, la découverte de la volatilité a lieu sur le marché Futures. Dans une seconde partie, je construis un cadre d'analyse qui exploite les données à Haute fréquence et évite la charge de calcul des MCMC. Je montre que les Volatilités Réalisées sont cointégrées et calcule la contribution du NYSE et NASDAQ à la volatilité permanente des titres du Dow Jones. J'obtiens que la volatilité des volumes est le meilleur déterminant de la découverte de la volatilité. Mais les chiffres faibles obtenues suggèrent l'existence d'autres facteursInstitutional changes in markets regulation in recent years have enhanced the multiplication of markets and the cross listing of assets simultaneously in many places. The prices for a security on those interrelated markets are strongly linked by arbitrage activities. This is also the case for one security and its derivatives: Cash and futures, CDS and Credit spread, spot and options. In those multiple markets settings, it is interesting for regulators, investors and academia to understand and measure how each market contributes to the dynamic of the common fundamental value. At the same time, improvement in ITC fueled trading activity and generated High frequency data. My thesis develops new frameworks, with respect to the data frequency, to measure the contribution of each market to the formation of prices (Price discovery) and to the formation of volatility (Volatility discovery). In the first chapter, I show that existing metrics of price discovery lead to misleading conclusions when using High-frequency data. Due to uninformative microstructure noises, they confuse speed and noise dimension of information processing. I then propose robust-to-noise metrics, that are good at detecting “which market is fast”, and produce tighten bounds. Using Monte Carlo simulations and Dow Jones stocks traded on NYSE and NASDAQ, I show that the data are in line with my theoretical conclusions. In the second chapter, I propose a new way to define price adjustment by building an Impulse Response measuring the permanent impact of market's innovation and I give its asymptotic distribution. The framework innovates in providing testable results for price discovery measures based on innovation variance. I later present an equilibrium model of different maturities futures markets and show that it supports my metric: As the theory suggests, the measure selects the market with the higher number of participants as dominating the price discovery. An application on some metals of the London Metal Exchange shows that 3-month futures contract dominates the spot and the 15-month in price formation. The third chapter builds a continuous time comprehensive framework for Price discovery measures with High Frequency data, as the literature exists only in a discrete time. It also has advantages on the literature in that it explicitly deals with non-informative microstructure noises and accommodates a stochastic volatility. We derive a measure of price discovery evaluating the permanent impact of a shock on a market’s innovation. Empirics show that it has good properties. In the fourth chapter, I develop a framework to study the contribution to the volatility of common volatility. This allows answering questions such as: Does volatility of futures markets dominate volatility of the Cash market in the formation of permanent volatility? I build a VECM with Autoregressive Stochastic Volatility estimated by MCMC method and Bayesian inference. I show that not only prices are cointegrated, their conditional volatilities also share a permanent factor at the daily and intraday level. I derive measures of market's contribution to Volatility discovery. In the application on metals and EuroStoxx50 futures, I find that for most of the securities, while price discovery happens on the cash market, the volatility discovery happens in the Futures market. Lastly, I build a framework that exploits High frequency data and avoid computational burden of MCMC. I show that Realized Volatilities are driven by a common component and I compute contribution of NYSE and NASDAQ to permanent volatility of some Dow Jones stocks. I obtain that volatility of the volume is the best determinant of volatility discovery, but low figures suggest others important factors
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Ranciaro, Neto Adhemar. "Estudo de séries de tempo financeiras sob a perspectiva do teorema das seções de Lévy." Universidade Federal de Alagoas, 2013. http://www.repositorio.ufal.br/handle/riufal/1656.
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This study aimed to analyze financial time series grounded on a perspective of time measure
changing, based on accumulation of volatility of returns relative to the prices observed. Such
a scale was used for two reasons: the first one is related to Ludwig Von Mises’ proposition of
time concept in an economic system and the second one is related to the acceleration of
convergence in Gaussian distribution of a sequence of random variables, according to Lévy
sections theorem. By means of implementation of this new timeline, we designed a type of
trading asset strategy which its resulting average returns and risk were compared to a strategy
using daily time unit. Results suggested reflection about statistical and measurement
procedures applied to the data.O objetivo deste trabalho foi o de estudar séries temporais financeiras fundamentadas em uma perspectiva de alteração de medida de tempo, baseada no acúmulo de volatilidade dos retornos relativos aos preços observados. Esta escala foi utilizada por dois motivos: o primeiro está relacionado à proposta de Ludwig von Mises sobre a ideia de tempo em um sistema econômico e o segundo está associado à capacidade que tal medida tem de acelerar o processo de convergência de distribuição de uma sequência de variáveis aleatórias para a Gaussiana, de acordo com o teorema das seções de Lévy. Com base nesta nova escala temporal, foi elaborado um tipo de estratégia de negociação de ativos tendo seus retornos médios e risco sido avaliados em comparação com uma estratégia utilizando o tempo em unidades diárias. Os resultados obtidos motivaram a reflexão sobre as estatísticas utilizadas e os procedimentos para a mensuração de desempenho de cada estratégia.
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Majoni, Akios. "The price differential between identical assets trading in different markets : a case study of Mondi Holdings." Master's thesis, University of Cape Town, 2010. http://hdl.handle.net/11427/10796.
Full textAbstract:
Includes abstract.Includes bibliographical references (p. 41-45).
This study investigates the possible explanatory factors behind the mispricing in dual traded assets, using Mondi Holdings (the PLC listed on the London Stock Exchange and the LTD listed on the Johannesburg Stock Exchange) as a case study. The study documents the existence of substantial mispricing between the Mondi twins, with the LTD trading at an average premium of 9% over the sample period. However, the reclassification of the PLC shares on the JSE resulted in a significant and sharp decline in the LTD premium to an average of 3%, an indication that regulatory controls were significant in sustaining a larger part of the price deviations.
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Swart, Andre. "The impact of share index futures trading on the volatility and liquidity of the underlying assets on the Johannesburg stock exchange." Master's thesis, University of Cape Town, 1998. http://hdl.handle.net/11427/9723.
Full textAbstract:
Bibliography: leaves 68-71.This study covers the period from 1990 to 1997 and investigates the relationship between the volume and value of index futures trading for the three main share indices and the volatility of the underlying assets on the JSE. The results of the regression tests indicate significant positive relationships between futures trading activity and the volatility of the underlying assets for the All Gold Index and the Industrial Index. This suggests that increased futures trading is associated with increased volatility in the underlying assets. The relationships were not significant for the All Share Index. The results support the hypothesis that index futures trading increases the volatility of the underlying assets.
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Campi, Luciano. "Marchés financiers avec une infinité d'actifs, couverture quadratique et délits d'initiés." Phd thesis, Université Pierre et Marie Curie - Paris VI, 2003. http://tel.archives-ouvertes.fr/tel-00004331.
Full textAbstract:
Cette thèse consiste en une série d'applications du calcul stochastique aux mathématiques financières. Elle est composée de quatre chapitres. Dans le premier on étudie le rapport entre la complétude du marché et l'extrémalité des mesures martingales equivalentes dans le cas d'une infinité d'actifs. Dans le deuxième on trouve des conditions équivalentes à l'existence et unicité d'une mesure martingale equivalente sous la quelle le processus des prix suit des lois n-dimensionnelles données à n fixe. Dans le troisième on étend à un marché admettant une infinité dénombrable d'actifs une charactérisation de la stratégie de couverture optimale (pour le critère moyenne-variance) basé sur une technique de changement de numéraire et extension artificielle. Enfin, dans le quatrième on s'occupe du problème de couverture d'un actif contingent dans un marché avec information asymetrique.
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Wakefield, Yvonne. "The Classification, for purposes of the calculation of taxable income, of land and assets incidental to land, that are used as trading stock." Master's thesis, University of Cape Town, 2009. http://hdl.handle.net/11427/4574.
Full textAbstract:
In calculating the taxable income of a taxpayer, items of income and expenditure are classified as being either capital or revenue in nature, and are treated differently according to such classification. Over the years, a debate has emerged regarding the classification of items of income that are either part of the ground or accede to it, but which are treated by the taxpayer as trading stock. The debate extends to the classification of items of expenditure laid out in the production of income and for the purposes of trade, but which relate to land or things adhered to land. Items forming the subject matter of the discussion include sand, stone, coal, trees and other plants to be used not for the sale or use of their fruit, but for sale or use themselves
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Zhang, Fan. "Essays in Financial Economics." Thesis, Harvard University, 2014. http://dissertations.umi.com/gsas.harvard:11327.
Full textAbstract:
This dissertation presents three essays. The first essay finds that the household risky ratio, the ratio of high risk assets over low risk assets directly owned by households, is a strong negative predictor of the equity premium on the US stock market. The predictability is robust to definition of the asset classes, first versus second half of sample, and the finite-sample bias of Stambaugh (1999). The predictability is stronger than, and not subsumed by popular predictors like price-earnings ratios, yield spread, equity share of issues, or consumption-wealth ratios. The main predictive power is decomposed into three similar parts: 1) the household tilt of risky assets, which is novel and generally orthogonal to known predictors; 2) a valuation ratio component; and 3) an issuance component of high risk versus low risk assets.Economics
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Trönnberg, Filip. "Empirical evaluation of a Markovian model in a limit order market." Thesis, Uppsala universitet, Matematiska institutionen, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-176726.
Full textAbstract:
A stochastic model for the dynamics of a limit order book is evaluated and tested on empirical data. Arrival of limit, market and cancellation orders are described in terms of a Markovian queuing system with exponentially distributed occurrences. In this model, several key quantities can be analytically calculated, such as the distribution of times between price moves, price volatility and the probability of an upward price move, all conditional on the state of the order book. We show that the exponential distribution poorly fits the occurrences of order book events and further show that little resemblance exists between the analytical formulas in this model and the empirical data. The log-normal and Weibull distribution are suggested as replacements as they appear to fit the empirical data better.
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Nevřivá, Lucie. "Hodnocení finanční situace podniku a návrhy na její zlepšení." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2008. http://www.nusl.cz/ntk/nusl-221831.
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This thesis deals with analysis of the financial and economic situation of the firm StavMaChem, s.r.o. by means of elementary methods of financial analysis. Data of the firm over the period of 2000 – 2006 are used for the financial analysis. I also propose measures for an improvement of the present status.
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Pospíšilová, Iva. "Mezinárodní standardy účetního výkaznictví versus česká úprava dlouhodobého majetku." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2008. http://www.nusl.cz/ntk/nusl-221962.
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The master´s thesis deals with long-term assets. It contains analysis of differences in appreciation of the long-term assets between czech accounting legislation and international accounting standards IFRS/IAS, and succesive application of ascertained differences into the corporate enterprise with the target to find out the impact on trading income.
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Wu, Tao-Kuei, and 吳韜奎. "Margin Trading and Asset Liquidity." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/72014006128654444495.
Full textAbstract:
碩士朝陽科技大學
財務金融系
102
Abstract This paper discusses the effects of margin trading on asset liquidity. The trading activities of individual investors constitute a large share of transactions in Taiwan’s stock market. For individual investors, margin trading will deepen investors’ demand for asset liquidity. Therefore, we believe that change in balance of margin loan is one of the factors that affect asset liquidity. This empirical study selects the data from the stocks included in Taiwan 50 Index. The sample period is from January 2003 to December 2013. We use pooled data regression to examine the relationship between asset liquidity and margin trading. The empirical results show that the rate of change in the balance of margin loan has a significant positive effect on asset liquidity. In addition, stocks return and stock volatility also show positive and significant effects.
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Chang, Ping Shan, and 張炳善. "Asset allocation, Volatility and Trading Intensity." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/79954302679976088053.
Full textAbstract:
碩士國立政治大學
國際經營與貿易研究所
98
This paper examines whether volatility measures that account for trading intensity would help investors make better decisions in their asset allocation. Specifically, we consider two versions of realized volatility (RV), namely, one (RV-C) constructed by regular calendar time sampling, and the other one (RV-T) constructed by transaction time sampling. Comparing to models in the GARCH family, both of these two RVs can capture intraday variations of asset return dynamics. In particular, the RV-T incorporates intraday trading intensity, and hence provides even more valuable information for investors. With the utility-based approach developed by West, Edison, and Cho (1993), we compare the predictive performance of RV-C, RV-T, and the EGARCH model in terms of utility generated with each of these three volatility measures. Our empirical results show that the three measures differ from each other mostly when investors are less risk-averse. Most interestingly, the time-deformed RV-T weakly dominates the RV-C and the EGARCH model when the markets are extremely volatile.
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Yamada, Takeshi. "Investor heterogeneity, trading volume, and asset pricing." 1993. http://catalog.hathitrust.org/api/volumes/oclc/33030913.html.
Full text
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Nien, Yi-Tsun, and 粘逸尊. "Logit-based Tactical Asset Allocation Trading Strategies." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/29779373188220738363.
Full textAbstract:
碩士國立臺灣大學
財務金融學研究所
93
Tactical Asset Allocation, TAA, is evidence on the predictability of stock returns using macroeconomic, microeconomic and event tactical variables. Portfolio managers are seeking higher-than-single-asset revenue (Buy and Hold) by actively investing between assets. This article extends the Arshanapalli, Switzer, Hung[2004]’s TAA logistic regression model by adding a Moving Average criteria. The MA model not only enhanced the performance of ASH Model, but also has proven the feasibility of the Market Timing strategy in Taiwan capital market. Back-tested results of [Stock vs. Bond] and [Stock vs. Cash] portfolios exhibited significant annualized returns of 24.67% and 19.86%, respectively. Gives consideration of transaction costs and holding period, this strategy which earns excess return than any single asset is inconsistent of the efficient market hypothesis. In this article, we have successfully established a predictive model based on public information, and can be applied widely by fund managers and individual investors.
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Armstrong, William. "Momentum Trading and Limits to Arbitrage." Thesis, 2012. http://hdl.handle.net/1969.1/ETD-TAMU-2012-05-10869.
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An extensive body of research supports the momentum strategy's persistence but disagrees on the underlying source of its profitability. A key obstacle to distinguishing between behavioral and rational explanations of momentum is that mispricing is unobservable. This dissertation studies the endogenous relationship between momentum trading and mispricing. The basic idea is that momentum trades can impede arbitrage when they are in the opposite direction of arbitrage trades and reinforce arbitrage when they are in the same direction. A simple model suggests that when momentum trades reinforce the arbitrage process, momentum strategy returns contain relatively less mispricing than when momentum trades impede the arbitrage process. Empirical results show that an arbitrage-reinforcing strategy has significantly higher average returns that are largely related to risk and do not reverse in subsequent periods, while an arbitrage-impeding strategy exhibits significant long-term reversal consistent with more mispricing. Additional tests show that winners have higher future growth rates than losers consistent with cross-sectional differences in expected returns. Overall, the evidence suggests that momentum profitability is largely related to risk which is partially masked by mispricing. An important implication of this model is that, like noise traders, trading strategies that do not condition on relative value can impede arbitrage.
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Peterson, David John. "Essays on strategic trading, asymmetric information, and asset pricing." Thesis, 1999. http://hdl.handle.net/2429/9910.
Full textAbstract:
This thesis presents three models of asset pricing involving non-competitive behavior and asymmetric
information. In the first model, a risk averse investor with private information about
dividends trades shares over an infinite time horizon with risk neutral uninformed agents. The
informed investor trades strategically in equilibrium. The second model also involves an infinite
time horizon, but all agents are risk averse and equally informed about dividends. Non-competitive
behavior is exogenously specified; price takers trade shares with a strategic investor
who accounts for the effects of her trades on the stock price. In this case, an endogenous information
asymmetry arises in equilibrium. Closed form equilibria are derived for both models and
implications for price dynamics are explored. While the first model constitutes a new extension
of the multiperiod Kyle model of insider trading, the second model generates more interesting
price dynamics. If the strategic investor manages a large mutual fund, significant risk premia
and price volatility may arise in equilibrium. In fact, if mutual fund participation is sufficiently
widespread, multiple equilibria may exist. The third model extends the multiperiod Kyle model
to a case where the insider observes a noisy signal of the stock's terminal liquidation value. An
equilibrium much like Kyle's is derived. Price tends toward value over time, and stock price
volatility depends on both the drift and volatility of the insider's private signal. Like the Kyle
model, the insider's trading activity leaves no detectable trace in trading volume, expected
returns, or price volatility.
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Chiang, Ya-Ping, and 江雅蘋. "Earnings Management Around Insider Trading: Discretionary Accruals and Asset Sales." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/70109399975856576043.
Full textAbstract:
碩士淡江大學
會計學系碩士班
94
Abstract: On the premise of insider self-interest, this research examines the hypothesis that insiders manage the earnings by discretionary accruals (DA) and asset sales (AS) around insider trading. Our empirical results indicate that the average DA and AS in pre-selling period are both statistically larger than those in post-selling period. Moreover, in post-trading period, the average DA and AS for the insider-buying sample are both larger than those for the insider-selling sample. Both evidences lend support to our hypothesis. We further apply Simultaneous Equations Model to examine the endogenous relationship between DA and AS. We find a positive association between DA and AS in the case of abnormal insider trading, suggesting a complementary relationship between these two instruments on the purpose of earnings management for insider trading.